I'm not really all that knowledgeable of comics and such but a few that I've read and would recommend are:

The Maxx

Savage Dragon

Zero Girl

Dc's Kingdom come.. from '96 pretty fucking epic.

Dark Knight and DKR (haven't read strikes again but no doubt it'd be sick)

Wolverine illustrated by Miller and written by Chris Clairmont

Preacher part 1, haven't reap 2 either but I've gotten people who hate comics to read that and they loved it.

and the Star Wars: Dark Empire trilogy..

Kingdom Come illustrated by Alex Ross right? I have that on my wish list, and I would love to get it now but I need to pace myself on my comic book buy. Damn why does this hobby have to be so expensive.

Yeah, I've been really enjoying Sandman so far and I really like Neil Gaiman's writing style, but I have to say the guy gets mad creepy sometimes, at least in Sandman that is. I feel like the 80's was when comics was in its prime, but I have a feeling its starting to come back.